Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0567
Annualized Std Dev 0.1973
Annualized Sharpe (Rf=0%) 0.2876

Row

Daily Return Statistics

Close
Observations 5234.0000
NAs 1.0000
Minimum -0.1188
Quartile 1 -0.0047
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0059
Maximum 0.1060
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0124
Skewness -0.1012
Kurtosis 9.2266

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0089
Loss Deviation 0.0098
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.6138
Historical VaR (95%) -0.0194
Historical ES (95%) -0.0298
Modified VaR (95%) -0.0182
Modified ES (95%) -0.0276
From Trough To Depth Length To Trough Recovery
2000-07-18 2009-03-09 2013-10-29 -0.6138 3342 2172 1170
2020-02-20 2020-03-23 2020-07-02 -0.3135 94 23 71
2018-10-02 2018-12-24 2019-04-23 -0.2090 139 58 81
2015-11-04 2016-02-11 2016-07-12 -0.1367 172 68 104
2015-07-21 2015-08-25 2015-11-02 -0.1146 74 26 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 1.5 0 0.1 0.2 -2.4 0 0 -2.1 -2.7
2001 0.6 0.4 1.1 1.9 0.5 -0.2 0 0.2 -0.2 2.9 -0.3 -1.5 5.3
2002 -0.4 2.2 -0.1 0.6 -0.1 -2.7 -2.9 -0.4 4.2 1.4 -0.6 -0.4 0.7
2003 0.8 0.3 1.1 -0.3 1.4 1.1 -0.8 0.4 2.2 0 1 0.1 7.3
2004 -0.4 0.8 0.6 -0.9 -0.2 -1.2 0 0.4 1.7 -0.1 1.4 -0.3 1.6
2005 0.7 0.3 -0.6 1.2 0.8 0.2 0.1 -0.4 0.5 -0.3 1.3 -0.5 3.1
2006 0.6 0.6 -0.3 -0.7 0.9 -0.3 -0.5 0.6 -0.3 -0.8 -0.3 -0.5 -1
2007 0.4 -0.3 -0.1 0.1 0.4 -0.4 0.7 1.1 1 -2.5 0.2 -0.9 -0.3
2008 1 -2.6 3.2 1.4 0.3 0.6 -0.6 -1.5 -1.5 1.5 -7.8 1.2 -5
2009 -1.6 -1.8 1.6 0.7 2.5 0.5 -0.1 -1.8 -2.4 -2.6 1.3 -0.9 -4.8
2010 1.6 1.3 0.6 -1.6 -1.7 -0.2 0 2.8 0.3 0.2 2.2 -0.1 5.6
2011 1.4 -1.7 0.3 0.2 -2.1 1.5 -0.5 -1 -2.5 -2.5 0.1 -0.4 -6.9
2012 0.7 0.5 0.3 0.4 -2.4 2.5 -0.2 0.5 0.2 1 -0.1 1.8 5.3
2013 0.9 0.5 -0.4 -0.7 -1.3 0.7 1.1 -0.4 0.9 0.2 -0.5 0.5 1.4
2014 -0.4 0.2 0.9 0.2 0.1 0.8 -0.3 0.2 -1.5 1.1 -0.9 -1 -0.8
2015 -1.4 -0.4 -0.5 1.3 0.4 0.8 0 -2.9 0.5 -0.5 1 -1.1 -2.9
2016 0.2 2.6 1 -0.3 0.1 0.3 0.3 0.1 0.7 -0.8 -1 -0.6 2.5
2017 0.2 1.2 -0.1 0.4 0.6 0.2 0.2 0 0.5 0 -0.3 -0.5 2.4
2018 -0.3 -1.5 1.6 0.7 1.3 0.1 0.3 0.1 0.3 1.2 0.8 1 5.7
2019 0 0.8 1 -1 -1.3 0.9 -0.4 -0.2 -1.1 0.6 -0.4 0.2 -0.9
2020 -1.8 0.2 -4.3 -2.6 0.5 1.1 1.5 1.4 1 -1.6 1.2 0.4 -3
2021 2.2 2.6 0.3 NA NA NA NA NA NA NA NA NA 5.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-26  20.2 SPY    138   0.0011  -0.0221  -0.0548   0.0138   0.0599       NA       NA <NA>     NA    NA       NA
2 2000-05-30  21.1 SPY    143.  0.0342   0.019   -0.0164   0.0384   0.1          NA       NA <NA>     NA    NA       NA
3 2000-05-31  21.0 SPY    143.  0.0007   0.0349  -0.0289   0.0316   0.0996       NA       NA <NA>     NA    NA       NA
4 2000-06-01  21.3 SPY    145.  0.0175   0.0361   0.0082   0.049    0.113        NA       NA <NA>     NA    NA       NA
5 2000-06-02  22.0 SPY    148.  0.0174   0.0725   0.0439   0.0476   0.110        NA       NA <NA>     NA    NA       NA
6 2000-06-05  21.9 SPY    147. -0.0049   0.0661   0.0375   0.0523   0.102        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart